Systems and methods related to financial trading are provided. More specifically, some embodiments relate to systems and methods for electronic trading using market data channels which users can subscribe. Various embodiments of the present technology can provide a suite of devices that are designed to actively modify market data at the intake point (co-location facility) in order to optimally disseminate only relevant information to various applications. These filtered market data channels can then be accessed by trading systems through various subscription models. Various embodiments allow for any type of channel that alters the natural or pure market data feed to produce different data flows and other signals (e.g., triggers, synthetic prices, etc.).
Legal claims defining the scope of protection, as filed with the USPTO.
1. A computer-implemented method comprising: receiving, through a trading platform running on one or more servers, a set of trading criteria; accessing, through the trading platform, one or more channels broadcast from a channel device, wherein the one or more channels publish customized market data created by the channel device, and wherein the channel device processes a raw market data feed; determining which of the one or more channels broadcast from the channel device to access based on the set of trading criteria; submitting, to a channel coordinator, a channel creation request in response to determining that none of the one or more channels simplifies a trading algorithm, wherein the channel device actively modifies the market data, at a co-location facility, to disseminate the customized market data to the trading algorithm; accessing, from the channel device, the channel created in response to the channel creation request, wherein the channel is implemented on a field programmable gate array or application specific-integrated circuit based on a set of criteria that simplifies the trading algorithm; generating, at the trading platform, a market order based on the trading criteria and the customized market data published by the channel device; and submitting, from the trading platform, the market order to an electronic marketplace.
2. The computer-implemented method of claim 1 , wherein the customized market data removes all lots below a size threshold from the raw market data feed.
3. The computer-implemented method of claim 1 , wherein at least one of the one or more channels removes orders that originate from within a firm or only includes orders that originate from within the firm.
4. The computer-implemented method of claim 1 , wherein the channel device transmits the one or more channels using microwave technology, low-latency wireless technology, or laser communication technology.
5. The computer-implemented method of claim 1 , further comprising creating a trading algorithm based on the one or more channels.
6. The computer-implemented method of claim 1 , further comprising receiving, at the trading platform, a summary of available channels.
7. A system comprising: a trading platform including: a communications module to access channels broadcast from one or more channel devices, wherein the channels include modified market data; a channel selection module to (i) select the channels to access based on a received set of trading criteria and (ii) submit a channel creation request in response to determining that none of the one or more channels simplifies a trading algorithm, wherein the channel device actively modifies the market data at an intake point to disseminate the modified market data to the trading algorithm; and a trading engine to: access, from the channel device, the channel created in response to the channel creation request, wherein the channel is implemented on a field programmable gate array or application specific-integrated circuit based on a set of criteria that simplifies the trading algorithm, and generate market orders based on the modified market data retrieved from the channels and submit the market orders to an electronic marketplace for execution.
8. The system of claim 7 , wherein the received set of trading criteria is submitted by a trader through a graphical user interface.
9. The system of claim 7 , wherein one of the channels includes modified market data in which all lots below a size threshold from a raw market data feed are removed.
10. The system of claim 7 , wherein one of the channels includes modified market data in which orders that did not originate from within a firm are removed.
11. The system of claim 7 , wherein one of the channels includes modified market data that only includes orders that originate from within a firm.
12. The system of claim 7 , wherein the communications module includes a microwave receiver to receive channels broadcast using a microwave transmitter, a low-latency wireless transmitter, or a laser.
13. The system of claim 7 , wherein the one or more channel devices are collocated with an intake point of a raw market data feed.
14. A non-transitory machine-readable medium carrying instructions, which when executed by at least one data processor, cause a machine to: determine, based on a set of received trading criteria, which of one or more channels broadcast from a channel device to access, wherein the one or more channels publish customized market data created by the channel device, and wherein the channel device processes a raw market data feed; submit a channel creation request in response to determining that none of the one or more channels simplifies a trading algorithm, wherein the channel device actively modifies the market data, at a co-location facility, to disseminate the customized market data to the trading algorithm; access, from the channel device, the channel created in response to the channel creation request, wherein the channel is implemented on a field programmable gate array or application specific-integrated circuit based on a set of criteria that simplifies the trading algorithm; generate a market order based on a trading algorithm and the customized market data published by the channel device; and submit the market order to an electronic marketplace.
15. The non-transitory machine-readable medium of claim 14 , wherein the customized market data removes all lots below a size threshold from the raw market data feed.
16. The non-transitory machine-readable medium of claim 14 , wherein at least one of the channels removes orders that originate from within a firm.
17. The non-transitory machine-readable medium of claim 14 , wherein at least one of the channels only includes orders that originate from within a firm.
18. A system comprising: a communications module to (i) receive market data, (ii) determine which of the one or more channels broadcast from a channel device to access based a received set of trading criteria, and (iii) submit a channel creation request in response to a determination that none of the one or more channels simplifies a trading algorithm, wherein the channel device actively modifies the market data at an intake point to disseminate the customized market data to the trading algorithm; a memory having stored thereon a set of rules to create modified market data for a channel; a modification engine to modify the market data in accordance with the set of rules; and a broadcast module to broadcast the modified market data in the channel to a subscriber.
19. The system of claim 18 , wherein the channel includes modified market data in which all lots below a size threshold from a raw market data feed are removed.
20. The system of claim 18 , wherein the channel includes modified market data in which orders that did not originate from within a firm are removed or that only includes orders that originate from within the firm.
21. The system of claim 18 , wherein the communications module, memory, modification engine, and broadcast module are on a switch or router.
22. The system of claim 18 , wherein the memory and the modification engine are implemented on a field programmable logic array or application specific integrated circuit.
23. The computer-implemented method of claim 1 , wherein the channel device decodes the market data into a desired format for processing and routes the market data to custom data synthesizers to create the customized market data.
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December 18, 2014
August 20, 2019
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